I am X percent certain there will not be a loss of more than V dollars in the next N days. The variable V is the VaR of the portfolio. It is a function of two parameters: the time horizon (N days) and the conﬁdence level (X%). It is the loss level over N days that has a probability of only (100 – X)% of being exceeded. Bank regulators require banks to calculate VaR for market risk with N = 10 and X = 99